Xury,
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I cannot help but to wonder that if, supposing, Severian had his fate set up from the beginning, a life predestined by whomever (an earlier Severian or such) and the Forces of Entropy were determined to prevent this catalyst from bringing the New Sun, then why did the undine save him as a child? She saved him so he could gain the Phoenix Throne, but they must know he would bring the New Sun also, thus bringing their own destruction.
Apart from larger questions of free will v. predestination----the undines survived the New Sun splendidly, and are seen cavorting in the flood waves. Practically the last act Severian does in the series is to make a sentimental sacrifice to Juturna.
-alga-